A-Share Momentum Screen Using RSI, Order Flow, and Prior-Day Limit-Ups

Summary

This proposed A-share screen looks for stocks with RSI below 65, an external-to-internal trading volume ratio above 1.3, and no limit-up close on the previous day. The article frames the RSI threshold as a way to avoid heavily overbought stocks, treats the volume ratio as a sign of buying interest, and excludes recent limit-up stocks because sharp intraday reversals may follow. It outlines possible data sources and includes an example script for applying the filters.

The post cautions that the screen relies heavily on technical and trading-activity measures while neglecting company fundamentals and broader market conditions. It recommends combining technical filters with financial and industry analysis and adjusting criteria to market conditions and risk preferences. No backtest or performance evidence is presented, and the meaning and reliability of the volume ratio and data fields require verification before use.

Key ideas

• The screen combines an RSI ceiling, an external-to-internal trading volume ratio threshold, and exclusion of stocks that hit the daily limit the prior day.
• The article interprets the RSI filter as a way to avoid overbought conditions and the volume ratio as a measure of buying interest.
• It proposes adding company fundamentals, industry context, and broader market analysis.
• The post provides example implementation guidance but no historical performance evaluation.
• Data definitions and market-specific limit rules should be checked before relying on the screen.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.